Description Usage Arguments Value Author(s) References See Also Examples
View source: R/Fast_Test_uSPA.R
Implements the test for uniform Superior Predictive Ability (uSPA) of Quaedvlieg (2021)
1 2 3 4 5 6 7 | Fast_Test_uSPA(
LossDiff,
L,
B = 999,
num_cores = 1,
seed = stats::runif(1, 0, .Machine$integer.max)
)
|
LossDiff |
the T x H matrix forecast path loss differential |
L |
the parameter for the moving block bootstrap |
B |
integer, the number of bootstrap iterations. Default 999 |
num_cores |
integer, the number of cores to be used. Default 1 |
seed |
integer, random seed for replication |
A list containing two objects:
"p_value" |
the p-value for uSPA |
"t_uSPA" |
the statistics for uSPA |
Luca Barbaglia https://lucabarbaglia.github.io/
Quaedvlieg, Rogier. "Multi-horizon forecast comparison." Journal of Business & Economic Statistics 39.1 (2021): 40-53.
1 2 3 4 5 6 7 |
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